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    Article

    Testing the tail–dependence based on the radial component

    Throughout this article we assume that the df H of a random vector (X,Y) is in the max-domain of attraction of an extreme value distribution function (df) G with reverse exponential margins. Therefore, the asympt...

    Melanie Frick, Edgar Kaufmann, Rolf-Dieter Reiss in Extremes (2007)

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    Article

    Penultimate Approximations in Extreme Value Theory

    Under a general von Mises condition and a second order regular variation condition, we derive exact penultimate approximation rates for maxima w.r.t. the variational distance. The approach is not restricted to...

    Edgar Kaufmann in Extremes (2000)